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Sure coach, will be glad to do it. I have to run to a meeting right now, but will do it later today and post the graph.

Get the trial package to see if you like it. You have to pay about $50 for it, but you get the full printed documentation and DVDs. I you decide to buy they'll refund the cost of the trail.

Span for equivalent on ES cross fly at 1385 and short calendar at 1360 is $9,268 initial and $8,518 maintenance. Taking into account the credit received, span will vary from $1,030 to $5,600 depending on when and where ES trades. RegT goes as high as 1.5M :eek:

I got something very similar to you. Looks good even with a 10% increase in volatility - the dip gets deeper and wider, but risk/reward stays about 1:1. The yields with regT margins are not good, but will probably be very attractive with haircut. I'll see how it looks with span.

I'm very happy with it. I think it is a good investment. It does everything you expect from your typical analysis tool, but it also understands options on futures, including span margins. It is also a portfolio manager so you can see the effect new positions would have on your existing...

I think I solved the mystery. And there's a big gotcha ! This is what it looks like on OV with no slippage. The drop on the right is correct. The reason is that the DEC EW options are based on the march futures contract. When all the options go deep on the money, they'll go for close to their...

I think I found the source of the difference. If I turn off slippage, I get the same shape as you. I think OV is being too pesimistic because there's no volume/OI in some of the options.

You are right mo. The initial loss at T+0 is because I used coach's prices. But I'm still getting the same shape.

No, it looks like for anything above 1385 you'll have to pay the intrinsic value for the OCTs while most of your gains on the NOVs will be used to offset the DECs.

No, I left the vols as given. OCT EW 1385 = 9.6%, NOV EW 1385 = 10.6%, DEC EW 1385 = 11.4%

All I did was to enter your trade (-25 EW OCT 1385, +50 EW NOV 1385, -25 EW DEC 1385) at the prices you gave on an OV paper tradaing account. The P/L graph is for Oct 31 expiration. I attached the detail analysis with ES dec futures at 1400 on October 31.

Coach, I modeled it on OptionVue and this is what I got. Greeks at entry are -23 delta, -2.48 gamma, 21.54 theta and 382.8 vega. Span margin is 11,423 initial and 9,359 maintenance. I also modeled some of the other horizontal flys you guys were discussing during the weekend and I don't get...

rally, are you talking about CTM spreads here? My OCT 1335/1350 call spreads are way ITM now. I sold them for an average of 5.9 and can close them for about 11.5, so I'm still within 1:1 r/r. My plan calls for closing when 1:1 is exceeded, so I'll probably close them by tomorrow if we don't...

Here's the +2% one. I guess the idea is to wait for a vol spike within the first 9 days. If this doesn't happen, you can bail out at b/e.

Thanks risk, this sounds like an interesting strategy to explore when volatility is low. For anyone interested, attached is the model for 40 ES 1340 OCT/NOV put calendars. With 17 days to go, it is neutralized at 9 days. The first one is at current vol and the second one is at +2%.

Murray, Have you made any research on how DD on the SPX/RUT compare to ES/ER2? I guess now that you have access to haircut, the haircut vs span margin advantage is moot, but are there any advantages on the potential ES->EW roll? Would you mind sharing your toughts on this? Thanks

I totally get your point now, except for one thing: I'm not scalping short gamma and I arbitrarily assigned the profits to the spreads. But how am I getting shorter as compared to not having done the scalp at all? If I had not done the scalp (bought and then sold), my deltas would have...

Sorry Coach. I'll shut up :)

Not trying to be argumentative, but I think we are talking about 2 different things. The way I see it is long gamma scalping, you buy dips and sell rallies. Short gamma scalping you buy rallies and sell dips. A concrete example from today. I had -408 future equivalent deltas and bought 4...

I understand, and respect, your point but I don't see why the same arguments cannot be applied to long gamma scalping. I think the main difference in out points of view is in whether we prefer to manage our portfolio as a collection of individual trades or as an inventory of contracts.